Commodity Futures Risk Premium: 1871-2018

In September 2019, Geert and members of our research team published the culmination of a 5-year research project in “The Commodity Futures Risk Premium: 1871–2018”. The project involved the creation of a proprietary database of daily commodity futures prices going back to 1871. We include an overview of the database below. We believe it is the most comprehensive study of the asset class to date.

Database Overview

Daily futures prices from 1871

28 exchanges

230 futures contracts, across all sectors

Includes over 180 dead contracts

60,000+ monthly returns

Sources

Chicago Board of Trade

Chicago Mercantile Exchange

Minneapolis Chamber of Commerce

Dairy and Produce Yearbook

New York Times

Wall Street Journal

Chicago Tribune

The Guardian (UK)

Select Research Papers

Facts and Fantasies about Commodity Futures

By Gary Gorton (The Wharton School, University of Pennsylvania) and K. Geert Rouwenhorst (SummerHaven Investment Management), published in Financial Analyst Journal, April 2006.

The Fundamentals of Commodity Futures Returns

By Gary Gorton (School of Management, Yale University and National Bureau of Economic Research, Fumio Hayashi (Graduate School of International Corporate Strategy and National Bureau of Economic Research, and K. Geert Rouwenhorst) School of Management and Partner – SummerHaven Investment Management, circulated as a NBER/Yale ICF working paper in 2007 and subsequently published in the Review of Finance 2013.